Daragh McInerney, Tomasz Zastawniak

Stochastic Interest Rates

• Broschiertes Buch

Produktbeschreibung

Designed for Master's students and final-year undergraduates, this book strikes the right balance between mathematical rigour and practical application. Carefully chosen examples and exercises help students acquire the necessary skills to deal with interest rate modelling in a real-world setting.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 169
• Erscheinungstermin: 10. August 2015
• Englisch
• Abmessung: 226mm x 151mm x 10mm
• Gewicht: 290g
• ISBN-13: 9780521175692
• ISBN-10: 0521175690
• Artikelnr.: 42017802

Autorenporträt

Daragh McInerney is a Director at the Valuation Modelling and Methodologies Group at UBS and a researcher in mathematical finance at AGH University of Science and Technology in Krakow, Poland. He holds a PhD in Applied Mathematics from the University of Oxford and has worked since 2001 as a quantitative analyst in both investment banking and fund management.

Inhaltsangabe

Preface
1. Fixed income instruments
2. Vanilla interest rate options and forward measure
3. Short rate models
4. Models of the forward rate
5. LIBOR and swap market models
6. Implementation and calibration of the LMM
7. Valuing interest rate derivatives
8. Volatility smile
Index.